Module autocallable 

Autocallable notes (single underlying) with an autocall coupon (rebate) and knock-in capital protection.

Mechanics (classic “Athena” structure) on equally spaced observation dates t_1 .. t_n (with t_n = T):

• if S(t_m) >= autocall_barrier, the note redeems early at t_m paying notional + m * coupon (the accrued coupon is the rebate);
• if never called: at T, if the path never breached protection_barrier (discretely monitored on the simulation grid), the holder receives the notional back; otherwise the protection is knocked in and the holder receives notional * S_T / S_initial (1:1 downside participation from the contractual initial fixing).

Cash flows occur at different dates, so pricing is a dedicated Monte Carlo route that discounts each call date on the option’s curve. The route runs under GBM, Dupire local volatility (the market-standard model for these notes — the skew drives the knock-in value) and Heston.

Structs

AutocallablePayoff